Market risk rates and concentration limits
The first, second and third level market risk rates are set by NCC as a percentage of the spot price of the underlying asset of the futures contract. Concentration limits are set by NCC in units of the underlying asset. Concentration limits and market risk rates are used to determine the initial margin requirements for Members' transactions.
The first, second and third level market risk rates are applied by the volume of the position and the applicable concentration limits. If the position size is less than the first concentration limit, the first level market risk rate applies, the second and third level rates apply to the excess position volume of the first and second concentration limit respectively.
Parameters under Member's control that affect the size of the initial margin:
Risk parameters used by the CCP NCC to calculate the initial margin so as to ensure the initial margin in the amount not less than the required amount of the initial margin calculated by the CCP NCC in respect of the Member's clients' portfolio.
Description |
Name |
Default value for CF |
Possible value for BF, client code |
Weight of risk profile in accordance with expiration scenario |
exp_weight (exp_weight_client_default) |
1 |
0-1 |
Number of clearing sessions before expiration to start BF expiration scenarios calculation. |
num_clr_2delivery (num_clr_2delivery_client_default) |
0 |
Every value |
Discount on futures for BF portfolio |
no_fut_discount (no_fut_discount_client_default) |
0 |
0 - Discount allowed 1 - Discount prohibited |
Margin type for calendar spreads |
calendar_spread_margin_type |
4 |
3 - Half nett 4 - Nett (For BF only) |
Margin type for cross-contract spreads |
ics_margin_type |
4 |
3 - Half nett 4 - Nett (for BF only) |
Description |
Name |
Default value for CF |
Possible value for BF, client code |
Total collateral ratio value. |
investor.coeff_im |
1 |
10 ≥ x > 0 |
Coefficient of IM under the underlying contract for all clients of this BF |
brokers_base_contracts_params.coeff_im |
1 |
10 ≥ x > 0 |
Individual coefficient of SOMC scenario weight. |
short_option_minimum_charge_ratio |
1 |
5 ≥ x > 0 |
Market risk rates based on client's level of risk
Market risk rates based on client's level of risk are used to determine the initial margin requirements for Member's clients transactions.
Static parameters for key terms
Interest rate risk rates, implied volatility risk rates, implied volatility difference risk rates are set by NCC for each key term and underlying asset. These risk rates are used to define the initial margin requirements for Members' transactions, including option transactions.
They are used to determine settlement prices of futures. The settlement price algorithm for futures is set out in the Risk Parameters Methodology of the Moscow Exchange Derivatives Market.
Special risk parameter application calendar.
Cash flows for determining the settlement price of futures
The following additional risk parameters are used by NCC to determine the settlement prices of options with shares as the underlying asset: cash flow under the underlying asset, cash flow date, dividend risk rate.
Parameters for interest rate futures
They are established by NCC for the purpose of calculating the upper/lower limits of the market risk assessment range for interest rate futures.
Inter-contract and inter-month spreads
Derivative contracts on the same underlying asset, but with different maturities may be in the inter-month spread. Derivatives contracts with different underlying assets may be in the inter-contract spread.
Initial margin (IM) benefits apply to inter-contract and inter-month spreads contracts.
The greater of the two IM (in case of the "half-netting" margining of the calendar spreads) or the interest rate risk value (in case of "netting" margining of the calendar spreads) is blocked in case of opposite positions in the contracts of the inter-month spread groups.
The greater of the two IM is blocked in case of opposite positions in the contracts of the inter-contract spread groups.
Principles for Calculating Initial Margin
The futures contracts in the inter-contract spread are in the inter-month spread within their underlying asset.
On the last trading day for futures in the inter-contract spread groups, the IM benefits for the nearest futures are cancelled (carried over to the next nearest term).
The list of contracts available for the inter-contract spread benefits can be found on the Moscow Exchange website.
The list of contracts available for the inter-month spread benefits can be found on the Moscow Exchange website.
Other parameters
Currency risk premium for the calculation of the initial margin.
The procedure for calculation of the currency risk premium R is established by NCC according to the Risk Methodology for the Derivatives Market.
The premium for fluctuations in the foreign currency ("Radius") is available in the Static parameters for the derivatives market.
In case of lack of data to calculate the R value, the R value is set equal to 0.1 (one-tenth).
The RUB rollover rate for settlement codes that are not Unified Pool Settlement Codes is equal to twice the RUSFAR rate.
Option pricing models
The MOEX Derivatives Market risk management currently supports the following option pricing models:
- The Black model
- The Bachelier model
Detailed information on the option pricing models used is available in the Methodology for Calculating the Theoretical Option Price.
*Details of the regulation on changing option pricing models.
Theoretical volatility of Underlying, Theoretical Option Price and Delta Coefficient
The basic size of Initial Margin for buying and selling is determined for each futures and options contract in accordance with the Principles for Calculating Initial Margin.